Improving Monte Carlo Efficiency by Increasing Variance

DOI10.1287/MNSC.38.10.1432MaRDI QIDQ4022910zbMATH OpenOpenAlexFDO

Authors George S. Fishman, Vidyadhar G. Kulkarni

Publication date 17 January 1993

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.38.10.1432

zbMATH Keywords

increasing varianceMarkov chainMonte Carlorandom spanning treessampling

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(6)

• Choosing a random spanning subtree: A case study
• Monte Carlo efficiency improvement by multiple sampling of conditioned integration variables
• Efficiency improvement techniques
• Improving the Variability Function in Case of a Monotonic Probability Distribution
• Speeding up the FMMR perfect sampling algorithm: A case study revisited
• Methods of reducing sample size in Monte Carlo computations

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